Monthly Entry and Exit Dates
First things first. I’ve put together the entry and exit dates, for each asset class, basis the Chandelier on a both the monthly and the weekly bull/bear mode.
I’ve put in the left most column the ticker of our guiding ETF (i.e the one used to classify the asset class as bull/bear mode), followed by the asset class name. Followed by the entry and exit dates and a column that measures the calendar days between the two.
The next step is either applying the rotational trading formula used on the Fidelity Select funds and rotate the ETFs that fall within an asset class, during the time frame that that asset class is in bull mode.
Here’s the monthly output:
For you fans of averages, this represents an average holding period across the asset classes of 1076 calendar days. Or to put it another way 2.95 years or yet another way 35.37 months. Too long you say? Perhaps, but you must remember established trends can last an awful long time. Bond bull is 30 years old. You can also use this data to help you determine if we’re in a correction or a change of character.
Because we are long an asset class in this definition it doesn’t mean we can’t switch between the strongest within that asset class, now does it. OK now a quick look at the weekly results:
- If both are in bull mode, i.e monthly and weekly, 100% invested in that asset class.
- If only one is in bull mode we are 50% invested.
- If both are in bear mode, that asset class funds are moved to cash.
Rules are obviously subject to change as this project moves forward.
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